Document Type

Article

Publication Date

3-2015

Publication Title

Financial Research Letters

Volume

13

Pages

45-53

Abstract

The behavior of gold as an investment asset has been researched extensively. For the very long run, that is several decades, gold does not outperform equities. However, for shorter periods, gold responds to fears of inflation, stock market corrections, currency crises, and financial instabilities very vigorously. In this paper we follow a decision tree methodology to investigate the behavior of gold prices using both traditional financial variables such as equity returns, equity volatility, oil prices, and the euro. We also use the new Cleveland Financial Stress Index to investigate its effectiveness in explaining changes in gold prices. We find that gold returns depend on different determinants across various regimes.

Comments

Author Posting. © Elsevier Inc 2015. This article is posted here by permission of Elsevier Inc. for personal use, not for redistribution. The article was published in Financial Research Letters, vol. 13, 2015, http://www.sciencedirect.com/science/article/pii/S154461231500032X?via%3Dihub

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

Included in

Business Commons

Share

COinS